VERX Options History — September 2024

In September 2024, VERX traded between $35.23 and $38.38. ATM implied volatility averaged 40.2%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 10.8% (HV 20d: 29.4%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2024-09-20: Highest Volume — 305 contracts
  • 2024-09-09: Largest IV spike — 33.8% change
  • 2024-09-09: Highest IV Rank — 40.0%
  • 2024-09-12: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.51$35.23$38.38$36.54$38.21
Max Pain$30.75$25.00$35.00$25.00$35.00
ATM IV40.2%29.0%56.3%41.1%32.0%
Expected Move11.3%8.3%15.6%11.8%9.2%
HV 20d29.4%27.2%38.6%38.4%32.6%
HV 60d32.7%32.0%33.9%33.3%33.9%
IV Rank18.6%3.8%40.0%19.9%7.7%
IV Percentile28.1%0.8%71.0%29.4%4.0%
Term Structure4.2%-13.2%18.3%18.3%16.4%
VWIV38.9%21.2%56.0%43.5%44.5%
Skew 25d2.0%-13.3%13.3%-4.0%7.7%
Skew 10d5.0%-43.9%44.9%-43.9%8.3%
Call IV 25d35.8%25.1%49.1%44.2%27.4%
Put IV 25d37.8%22.7%52.3%40.3%35.1%
Bid-Ask Spread %109.6193.23124.7793.23111.84
Gamma HHI0.600.480.740.710.53
Net GEX79.6K59.2K117.9K117.9K63.1K
Net DEX-6.8M-8.4M-5.1M-7.8M-5.6M
Net VEX-10.3K-12.0K-8.5K-11.8K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.005.630.000.00
Total Volume42230525
Total OI3,555.52,2764,1903,9482,387

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$36.54$25.0041.1%11.8%38.4%19.9%0.0%-4.0%18.3%117.9K-7.8M-11.8K0.0093.23N/AN/A203,330618
2024-09-04$35.86$25.0043.4%12.4%38.6%22.8%43.5%13.3%9.8%103.2K-7.3M-12.0K0.12101.85N/AN/A3443,332618
2024-09-05$35.81$30.0044.0%13.7%31.7%23.7%45.7%-0.3%-0.2%103.6K-7.3M-11.8K0.00100.17N/AN/A1803,344617
2024-09-06$35.34$30.0042.1%14.1%28.7%21.1%50.8%3.9%-2.5%89.2K-6.9M-11.2K0.24114.98N/AN/A1743,353615
2024-09-09$35.72$30.0056.3%11.2%28.8%40.0%39.8%1.6%9.0%104.4K-7.1M-11.8K1.16109.60N/AN/A51593,365616
2024-09-10$35.56$30.0045.4%10.4%28.8%25.6%34.8%9.7%7.0%96.4K-7.2M-11.1K2.50124.77N/AN/A8203,404675
2024-09-11$35.23$30.0045.7%13.1%27.2%25.9%39.9%-7.8%2.2%73.2K-6.7M-10.6K1.14108.39N/AN/A783,408695
2024-09-12$35.66$30.0054.4%15.6%27.3%37.4%30.9%7.7%-4.9%68.1K-7.1M-10.8K5.63118.84N/AN/A8453,410702
2024-09-13$36.19$30.0038.5%11.0%27.7%16.4%40.5%-4.7%5.2%61.6K-7.4M-10.4K0.10111.68N/AN/A1013,411747
2024-09-16$36.39$30.0038.2%11.0%27.3%16.0%37.7%0.9%4.6%99.0K-7.7M-10.2K0.00113.60N/AN/A1703,396747
2024-09-17$36.06$30.0044.9%12.9%27.3%24.8%0.0%11.0%-13.0%65.9K-7.5M-9.5K0.00115.92N/AN/A1003,398747
2024-09-18$36.53$30.0047.1%13.5%27.2%27.8%56.0%12.5%-0.8%82.6K-7.8M-9.5K0.09119.64N/AN/A1113,403747
2024-09-19$37.01$30.0033.4%9.6%27.6%9.6%34.2%7.4%5.3%63.9K-8.0M-9.6K0.00117.86N/AN/A4303,409748
2024-09-20$37.52$30.0033.1%9.5%27.9%9.3%21.2%9.1%8.6%71.8K-8.4M-9.1K0.00112.60N/AN/A30413,442748
2024-09-23$38.38$30.0029.0%8.3%27.2%3.8%27.8%-6.6%15.9%72.0K-5.7M-8.5K0.61104.83N/AN/A18112,051225
2024-09-24$37.58$35.0030.0%8.6%27.8%5.0%30.1%3.1%12.1%66.9K-5.6M-9.1K0.1396.43N/AN/A4862,067240
2024-09-25$36.78$35.0034.1%9.8%28.5%10.6%44.2%0.2%-2.5%64.3K-5.2M-9.4K0.56101.95N/AN/A32182,092246
2024-09-26$37.13$35.0041.3%11.8%28.8%20.1%39.9%-10.9%-13.2%65.0K-5.3M-9.5K0.88110.72N/AN/A872,110262
2024-09-27$36.61$35.0029.6%8.5%29.1%4.5%38.2%-13.3%5.8%59.2K-5.1M-10.4K0.00103.24N/AN/A402,116269
2024-09-30$38.21$35.0032.0%9.2%32.6%7.7%44.5%7.7%16.4%63.1K-5.6M-10.0K0.00111.84N/AN/A502,118269